Estimation of Value-at-Risk Adjusted under the Capital Asset Pricing Model Based on ARMAX-GARCH Approach

Estimation of Value-at-Risk Adjusted under the Capital Asset Pricing Model Based on ARMAX-GARCH Approach

Investors having an understanding of investment statistics are important. Especially quantitative tools related to investment risk measurement. Value-at-Risk Adjusted is one of the investment risk measurement tools, which assumes that returns are not normally distributed.This paper intends to measur...

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Bibliographic Details
Main Authors: F Sukono, Eman Lesmana, Dwi Susanti, Herlina Napitupulu, Yuyun Hidayat
Format: Article
Language:Indonesian
Published: Department of Mathematics, FMIPA, Universitas Padjadjaran 2019-07-01
Series:Jurnal Matematika Integratif
Subjects:
value-at-risk adjusted
capital asset pricing model
armax
garch
lopez ii
Online Access:http://jurnal.unpad.ac.id/jmi/article/view/20931

Internet

http://jurnal.unpad.ac.id/jmi/article/view/20931

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